Casas, Isabel; Gijbels, Irene - School of Economics and Management, University of Aarhus - 2009
unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in … models to describe the behaviour of data with structural breaks. The local linear (LL) estimator is not consistent at points … and the boundary estimation, it estimates the breaks consistently and it ensures that the volatility estimates are always …